Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan

Jiro Hodoshima (), Tetsuya Misawa () and Yoshio Miyahara ()
Additional contact information
Jiro Hodoshima: NUCB Business School
Tetsuya Misawa: Nagoya City University
Yoshio Miyahara: Nagoya City University

Asia-Pacific Financial Markets, 2020, vol. 27, issue 2, No 1, 155-174

Abstract: Abstract We compare performance evaluation of the TOPIX Core 30 of Japanese stocks by the performance evaluation index based on the economic index of riskiness of Aumann and Serrano (J Polit Econ 116:810–836, 2008) and the Sharpe ratio. The performance index of Aumann and Serrano, which can take into account high moments and disaster risk, is more relevant for risk-averse investors than the Sharpe ratio. The two performance indexes are, unlike the U.S. stocks, surprising similar in the majority of the stocks studied. However, there do exist contrasting stocks where the two performance indexes differ considerably, reflecting the underlying performance of stocks. Use of the two performance indexes together can result in better characterization of stocks.

Keywords: Aumann and Serrano performance index; GMM estimation; Japanese stocks (search for similar items in EconPapers)
JEL-codes: C13 C46 C58 G11 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-019-09287-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:27:y:2020:i:2:d:10.1007_s10690-019-09287-z

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-019-09287-z

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().